Derivatives Analyst

• Ensures compliance with Bank’s policies and agreements with derivatives dealers by monitoring derivative counterparty credit exposure on a daily basis:
  • Responsible for understanding all methodologies used in the Bank’s credit support agreements with derivatives dealers.
  • Analyzes the effect of swap yield curve shifts, cash flow movements, and settlements of collateral exchanges on credit exposure and notifies counterparty if warranted. Monitors for margin call requests received from counterparties.
  • Evaluates counterparty valuation statement, determines amount of collateral requirement based on security agreements, and agrees with counterparty on the collateral delivery requirements.
  • Analyzes disputed margin calls and comes to a satisfactory resolution with the counterparty.
  • Facilitates collateral movements through processing of tickets for securities transfers or cash wires. Performs daily reconciliation of securities and cash positions.
  • Completes daily credit exposure and analysis reports.
  • Serves as the key contact for both internal and external customers.
• Participates in the end of month control review of derivatives valuations:
  • Obtains all derivative counterparties’ valuation statements at month end and accurately interfaces that valuation data into the Bank’s databases.
  • Works with both Bank and counterparty representatives to analyze differences in valuations or transactions.
  • Completes month end credit exposure and reconciliation reports and distributes as appropriate to Bank’s credit, risk management, or member collateral units.
• Familiar with the Bank’s control processes under Sarbanes-Oxley.  Prepares and updates documents for the department including departmental desk procedures. Maintains and updates the department files for the collateral unit.
• Assists with system upgrades.
• Participates in the Bank’s business resumption process. Trains as a back up support staff for other critical functions in the department.
• Provides support to the derivatives documentation function.
• Assists others as requested.
  

• Bachelor’s Degree in Finance, Accounting, or a related field, or equivalent education preferred.
• Two to four years of experience working in treasury or investment operations in the accounting, finance, or banking industry.
• Knowledge of over-the-counter derivative products.
• Ability to operate PC-based software and/or automated database systems required.
• Excellent verbal and written communication skills, strong attention to detail, and strong analytical and problem-solving skills required.
• Ability to work independently and effectively under pressure and to meet deadlines.
• Ability to interface with all levels of internal and external customers/functions.